A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization

This paper completes a previous work on a Black and Scholes equation with stochastic volatility. This is a degenerate parabolic equation, which gives the price of a European option as a function of the time, of the price of the underlying asset, and of the volatility, when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The analysis involves weighted Sobolev spaces. We give a characterization of the domain of the operator, which permits us to use results from the theory of semigroups. We then study a related model elliptic problem and propose a finite element method with a regular mesh with respect to the intrinsic metric associated with the degenerate operator. For the error estimate, we need to prove an approximation result.

     

Majorization, range inclusion, and factorization for bounded linear operators

In this paper, relationships among the concepts, majorization, range inclusion, and factorization, are studied in a general setting for bounded linear operators. Some applications of these concepts are given.

     

Partially isometric dilations of noncommuting -tuples of operators

Given a row contraction of operators on a Hilbert space and a family of projections on the space that stabilizes the operators, we show there is a unique minimal joint dilation to a row contraction of partial isometries that satisfy natural relations. For a fixed row contraction the set of all dilations forms a partially ordered set with a largest and smallest element. A key technical device in our analysis is a connection with directed graphs. We use a Wold decomposition for partial isometries to describe the models for these dilations, and we discuss how the basic properties of a dilation depend on the row contraction.

     

A spectral characterization of the -torus by the first stability eigenvalue

Let be a compact hypersurface with constant mean curvature immersed into the unit Euclidean sphere . In this paper we derive a sharp upper bound for the first eigenvalue of the stability operator of in terms of the mean curvature and the length of the total umbilicity tensor of the hypersurface. Moreover, we prove that this bound is achieved only for the so-called -tori in , with . This extends to the case of constant mean curvature hypersurfaces previous results given by Wu (1993) and Perdomo (2002) for minimal hypersurfaces.

     

-function of an operator: A white noise approach

Let be the canonical framework of white noise analysis over the Gel'fand triple and be the space of continuous linear operators from to . Let be a self-adjoint operator in with spectral representation . In this paper, it is proved that under appropriate conditions upon , there exists a unique linear mapping such that for each . The mapping is then naturally used to define as , where is the Dirac -function. Finally, properties of the mapping are investigated and several results are obtained.

     

A variant of the Reynolds operator

Let be a linearly reductive group over a field , and let be a -algebra with a rational action of . Given rational --modules and , we define for the induced -action on Hom a generalized Reynolds operator, which exists even if the action on Hom is not rational. Given an -module homomorphism , it produces, in a natural way, an -module homomorphism which is -equivariant. We use this generalized Reynolds operator to study properties of rational - modules. In particular, we prove that if is invariantly generated (i.e. ), then is a projective (resp. flat) -module provided that is a projective (resp. flat) -module. We also give a criterion whether an -projective (or -flat) rational --module is extended from an -module.

     

An extension of Warnaar's matrix inversion

We present a necessary and sufficient condition for two matrices given by two bivariate functions to be inverse to each other with certainty in the cases of Krattenthaler formula and Warnaar's elliptic matrix inversion. Immediate consequences of our result are some known functions and a constructive approach to derive new matrix inversions from known ones.

     

Asymptotic Dirichlet problem for the Schrödinger operator via rough isometry

We pose and solve the asymptotic Dirichlet problem for the Schrödinger operator via rough isometries on a certain class of Riemannian manifolds. With suitable potentials, we give the solvability of the problem for a naturally defined class of data functions.

     

Necessary conditions for Schatten class localization operators

We study time-frequency localization operators of the form , where is the symbol of the operator and are the analysis and synthesis windows, respectively. It is shown in an earlier paper by the authors that a sufficient condition for , the Schatten class of order , is that belongs to the modulation space and the window functions to the modulation space . Here we prove a partial converse: if for every pair of window functions with a uniform norm estimate, then the corresponding symbol must belong to the modulation space . In this sense, modulation spaces are optimal for the study of localization operators. The main ingredients in our proofs are frame theory and Gabor frames. For and , we recapture earlier results, which were obtained by different methods.

     

A novel dual approach to nonlinear semigroups of Lipschitz operators

Lipschitzian semigroup refers to a one-parameter semigroup of Lipschitz operators that is strongly continuous in the parameter. It contains -semigroup, nonlinear semigroup of contractions and uniformly -Lipschitzian semigroup as special cases. In this paper, through developing a series of Lipschitz dual notions, we establish an analysis approach to Lipschitzian semigroup. It is mainly proved that a (nonlinear) Lipschitzian semigroup can be isometrically embedded into a certain -semigroup. As application results, two representation formulas of Lipschitzian semigroup are established, and many asymptotic properties of -semigroup are generalized to Lipschitzian semigroup.